For of the Maiar many were drawn to his (Melkor's) splendour in the days of his greatness, and remained in that allegiance down into his darkness; and others he corrupted afterwards to his service with lies and treacherous difts. Dreadful among these spirits were the Valarauker, the scourges of fire tht in Middle-earth were called the Balrogs, demons of terror.
Silmarillion, page 31 'Of the Enemies'.
And in Utumno he gathered his demons about him, those spirits who first adhered to him in the days of his splendour, and became most like him in his corruption: their hearts were of fire, but they were cloaked in darkness, and terror went before them; they had whips of flame. Balrogs they were named in Middle-earth in later days.
Silmarillion page 47 Ch 3
Far beneath the ruined halls of Angband, in vaults to which the Valar in the haste of their assault had not descended, Balrogs lurked still, awaiting ever the return of their Lord; and now swiftly they arose, and passing over Hithlum they came to Lammoth as a tempest of fire. With their whips of flame they smote asunder the webs of Ungoliant, and she quailed, and turned to flight, belching black vapours to cover her....
Simariliion page 81 The Flight of the Noldor
...but at the last he(Feanor) was smitten to the ground by Gothmog, Lord of Balrogs, whom Ecthelion after slew in Gondolin.
The Balrogs were destroyed, save some few that fled and hid themselves in caverns inaccessible at the roots of the earth...
Silmarillion page 251 The Voyage of Earendil
So Balrogs were Maiar, corrupted by Melkor and loyal to him. They have a hierachy - we have
Lord of Balrogs - Gothmog. And those that were not destroyed fled underground. How many more lurk in the depths?
Anyone any more info/ideas?